5,731 reputation
21443
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 9 months
seen 1 hour ago

Strats in a commodity trading firm in Hong Kong.


Sep
30
comment What happens if a custodian bank defaults?
Good answer, and good idea from @chrisaycock.
Sep
30
answered Economic contagion to individual stocks (ideas for analysis)
Sep
30
answered What are the advantages of knowing the bid and ask over the best bid and ask?
Sep
29
reviewed Reviewed Question on OptionMetrics: “Strike Price times 1000” differs too much from Index price
Sep
29
answered Integrating log-normal
Sep
28
awarded  Custodian
Sep
28
reviewed Reviewed Implied Volatility from American options (binomial)
Sep
28
reviewed Reviewed Commerical delayed stock quote feed that is redistributable?
Sep
28
awarded  Custodian
Sep
28
reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Sep
28
reviewed Reviewed Predicting Price Movements on a Betting Exchange
Sep
28
comment Predicting Price Movements on a Betting Exchange
Could you provides links to the papers you refer to (at least some of them)?
Sep
28
reviewed Reviewed What is the instantaneous P&L of a Variance Swap?
Sep
28
revised What is the instantaneous P&L of a Variance Swap?
rephrased qyestion, fromatting
Sep
28
comment What is the instantaneous P&L of a Variance Swap?
Your question would benefit from a link or a short reminder of how a variance swap works, possibly including formulas in the post and indication how you got to your solution.
Sep
28
comment Fastest solver possible for portfolio optimization
@BobJansen oh yeah I forgot about that, although if it is convex it should quickly converge shouldn't it?
Sep
27
revised Fastest solver possible for portfolio optimization
reformatting, retagged
Sep
27
answered Fastest solver possible for portfolio optimization
Sep
27
comment Fastest solver possible for portfolio optimization
How long does it take now to optimize? For daily mean-variance rebalancing you shouldn't need more than the standard optimizer I guess, even with 100 assets. In short, define better your problem (the size of your constraint set and the optimizing method you use, ..), we might help you from there already.
Sep
27
asked What happens if a custodian bank defaults?